Individual Investors and R(boolean AND)2

Cai, Jinghan1; He, Jia2; He, Jibao3; Zhai, Weili4

2019

Economics Bulletin   影响因子和分区

1545-2921

Some behavioral view of R(boolean AND)2 in the literature argues that lower R(boolean AND)2 may imply that the prices are less efficient, since lower R(boolean AND)2 may be the results of higher noise trader participation, and therefore the sum of squared errors is higher. This paper uses a novel dataset from Chinese stock market and directly checks the relationship between R(boolean AND)2 and noise trader participation. Cross-sectionally, we find no evidence supporting the negative relationship between R(boolean AND)2 and noise trader participation. Time-series wise, we find a case where R(boolean AND)2 positively comoves with noise trader participation. This paper casts doubt on the prediction that noise trader participation will lower the R(boolean AND)2.

ESCI

英语

其他

Business & Economics

Economics

WOS:000465241400016

ECONOMICS BULLETIN

Web of Science

1.Univ Scranton, Scranton, PA 18510 USA;
2.Southern Univ Sci & Technol, Shenzhen, Peoples R China;
3.Shenzhen Stock Exchange, Shenzhen, Peoples R China;
4.Shenzhen Univ, Shenzhen, Peoples R China

Cai, Jinghan,He, Jia,He, Jibao,et al. Individual Investors and R(boolean AND)2[J]. Economics Bulletin,2019,39(1):159-165.

Cai, Jinghan,He, Jia,He, Jibao,&Zhai, Weili.(2019).Individual Investors and R(boolean AND)2.Economics Bulletin,39(1),159-165.

Cai, Jinghan,et al."Individual Investors and R(boolean AND)2".Economics Bulletin 39.1(2019):159-165.